scientific article; zbMATH DE number 4204078

MaRDI QIDQ3352804zbMATH OpenFDO

Authors Geert Gielens, Casper G. de Vries

Publication date 1990

zbMATH Keywords

residualsstochastic processesstochastic difference equationsforeign exchange ratesunit root processesextremal theoryunconditional distribution function

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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(7)

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• A subordinated stochastic process model with finite variance for speculative prices
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